Essays about: "European iTraxx index"
Found 1 essay containing the words European iTraxx index.
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1. Explaining Credit Default Swap Index Spreads - A Study of the iTraxx Index
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this paper we investigate the relationship between the European iTraxx spreads and the theoretical determinants suggested by the Merton model during the period from June 2004 to September 2006. The Merton model suggests that leverage, volatility and the risk-free rate should influence credit spreads. READ MORE
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